quantile_risk: Extract Conditional Quantile from Simulated Densities

In FARS: Factor-Augmented Regression Scenarios

Extract Conditional Quantile from Simulated Densities

Description

Computes the conditional quantile (e.g., 5th percentile) from a simulated skew-t distribution, generated via density() or nl_density(). The result corresponds to the risk measure (e.g., Growth-at-Risk, Growth-in-Stress etc.).

Usage

quantile_risk(density, QTAU = 0.05)

Arguments

density	An object of class fars_density returned by density() or nl_density().
QTAU	A numeric value between 0 and 1 indicating the quantile to extract (e.g., 0.05 for 5th percentile).

Value

A numeric vector of conditional quantiles (one observation for each time period).

Examples

Quantiles <- matrix(rnorm(500), ncol = 5)
fars_density <- compute_density(Quantiles, seed = 42)
GaR <- quantile_risk(fars_density, QTAU = 0.05)

FARS documentation built on Aug. 8, 2025, 7:33 p.m.